2015–2021: Victoria and other work
In 2015, Coleman was cast in ITV's eight-part drama following the reign of the British monarch and Empress of India, Victoria. She confessed that she was not fully informed about Victorian history, but researched the role. When interviewed for BBC Radio 4's Woman's Hour, Coleman expressed her admiration for the monarch. She argued that this role meant she was able to break out of her supposed "box" as a northern working-class character that Emmerdale put her in. Victoria premiered on 28 August 2016 on ITV, and in September 2016, ITV renewed Victoria for a second series. A Christmas special for 2017 was also commissioned and a third series was announced in December 2017.
In 2017, Coleman became the narrator for a Royal Caribbean UK advertising campaign. On 8 January 2018, Coleman was confirmed to play Joanna in the four-part BBC drama The Cry, an adaptation of the 2013 novel by Helen FitzGerald.
In 2019, Coleman starred as Annie in the Old Vic Theatre's production of All My Sons, which ran from 13 April to 8 June and included a cinema screening via National Theatre Live on 14 May. In February 2019, it was announced that Coleman would make a guest appearance in an episode from series five of the dark comedy series Inside No. 9, with an expected broadcast date later in the year. Series five returned to the screen on 3 February 2020.
On 11 May 2019, in an interview with Graham Norton on his BBC Radio 2 program, Coleman indicated her intent to return to Victoria for a fourth series should it be renewed by ITV, but stated that the show will be taking "a bit of a breather" before production resumes. Also in 2019, Coleman was selected for the role of Marie-Andrée Leclerc in the Netflix and BBC drama The Serpent, a dramatisation of the life of convicted serial killer Charles Sobhraj. Production of The Serpent began in Bangkok in September 2019 and continued into 2020, with an expected BBC broadcast later in the year. As with most other film and television production, work on The Serpent was suspended in March 2020 due to the COVID-19 pandemic. Filming resumed on 17 August in the UK and was completed on 28 August. Due to the delay in filming, the broadcast date for The Serpent was moved to 2021. It premiered on 1 January 2021 on BBC One.
During the COVID-19 pandemic, from April 2020 Coleman participated in The Remote Read, a planned series of online drama performances to raise funds for theatrical workers left unemployed by the pandemic. The first production under this banner, an adaptation of Tom Stoppard's A Separate Peace (1966), was transmitted via the Zoom videoconferencing platform on 2 May 2020. Coleman also recorded the short story Pressures, Residential by Philip Hensher, in support of UNICEF UK, as well as The Tale of the Flopsy Bunnies by Beatrix Potter, as part of a collection of audiobooks in Beatrix Potter: The Complete Tales. In May 2020, nine years after its original English release, Coleman reprised her role as Princess Melia Antiqua in the video game Xenoblade Chronicles: Definitive Edition, which features a new epilogue taking place after the main story. She then returned as Melia in Xenoblade Chronicles 3 in 2022, where she is depicted as Queen of the Keves Nation.
Coleman headed Boots UK's 2021 Christmas ad campaign, "Bags of Joy". Her character, Joy, is shown to give Christmas presents to friends and family out of a bag that is bigger on the inside. In May 2021, Coleman was cast as Johanna Constantine, the great-great-great-grandmother of John Constantine in DC Comics' The Sandman TV series. The series debuted on Netflix in August 2022, when it was revealed that Coleman was playing two roles; the aforementioned version of Johanna and her present day descendant of the same name. This new interpretation led to calls for a spin-off series. Coleman reprised the role in the series' second and final season.